Re: [Quantlib-users] Help about the asian options

[Jack G <jac...@gm...>]

Hi Ashish,

I've just lifted the examples from your references directly for a discrete
arithmetic Asian using the FD Asian engine and it is working for me - can
you share the code you are using that breaks please?

Best,
Jack

On Wed, 18 May 2022, 13:55 Ashish Bansal, <ash...@gm...> wrote:

> Hi all,
>
> Could somebody help with the asian options? We are using
> FdBlackScholesAsianengine with DiscreteAveragingAsianOption. Online
> references are given below. In DiscreteAveragingAsianOption, we need to
> pass the past fixing which is suggested to be 0 for new trade. Whereas when
> we are passing it as 0, we are getting the following error:
> "QuantLib Error - Running average requires at least one past fixing"
> ref:
>
> https://quantlib-python-docs.readthedocs.io/en/latest/pricing_engines.html#fdblackscholesasianengine
>
>
> https://quantlib-python-docs.readthedocs.io/en/latest/instruments/options.html?highlight=DiscreteAveragingAsianOption#ql.DiscreteAveragingAsianOption
>
> Queries:
> 1. What is to be passed here for new trade if not 0?
> 2. For trade which is mid of averaging and has few past fixings, do we
> need to pass the count of past fixing or the actual rates of the pastfixing
> as an array?
>
> Any help will be appreciated.
>
> Thanks in advance
> Ashish
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